Eurex Launches Futures Referencing €STR

Eurex is expanding its interest rate segment with the launch of three-month EUR STR futures that reference €STR.

The exchange says the launch is an important milestone in both the establishment of the €STR as the new benchmark risk-free rate, and in expanding Eurex’s EUR-denominated fixed income product offering. The new contracts are based on the compounded €STR over a three-month period and will be available for trading on the exchange from 23 January 2023.

“Launching three-month euro STR futures is a natural extension of our product portfolio given our liquidity in the long-term interest rate segment,” says Lee Bartholomew, global head of derivatives product R&D fixed income & FX. “It underlines our commitment to be the home of the euro yield curve and delivering maximum margin and capital efficiencies to the market. Additionally, further product extensions are likely as the market evolves.”

Customers will also be able to access Eurex’s portfolio based Prisma margining methodology, which is designed to optimise margin offsets across OTC interest rate swaps and listed fixed income products.

The switch from the former short-term rate Eonia to €STR is part of a broader Ibor reform. The ECB began to officially publish €STR on 2 October 2019. Eurex supported this transition and started clearing the first €STR overnight index swaps (OIS) in November 2019. In late October, LSEG’s Refinitiv announced the publication of a Term €STR fallback rate across five tenors.

Eurex says volumes in €STR OIS have consistently grown since the launch, both in monthly volume and active members; notional outstanding has almost doubled in the last 12 months and stood at EUR 2.4 trillion at the end of October.